You can make roads or any other object using a 3D software package such as 3ds Max, Maya, Cinema 4D, Blender, Modo or XSI.
There's of course a whole craft involved in making quality 3D models and it is something you'll have to learn through practice. Luckily there are plenty of tutorials around.

Do not be confused by the term "world editor". Some people tend to think that road building or object placement goes similar to games like Cities Skylines or the Sims while it absolutely is not. In an actual software package, all work is done by yourself.